📊💱Momentum And Carry Lead Gains In June: Cable FX Macro
- Rosbel Durán
- Jul 8
- 1 min read
The last month of 2Q is in the books, and we're officially set for the second half of whatever this was (first time? meme). Currency models have faced a very challenging period over the first 1H, geopolitics are very hard to price in but a Trump all out tariff war is impossible.
However, June factors performance recorded carry and momentum outperformance. While a factor that tracks market neutral currency strategies, spread, lost the most. Both momentum and carry gained 1.9% on the month, the latter had a lower standard deviation of returns. Momentum was the best performing factor during the first half of 2025.
The Cable FX Macro G10FX Composite model ended flat and gave back gains of 0.9%, this is the second consecutive monthly gain for the composite model. **The composite model is a mix of volatility, carry, and momentum.
In terms of basket compositions, carry, a factor that profits from rate differentials, went long antipodes and short franc and the Swedish krone. Momentum, a factor that targets best and shorts worst past performances, went long EUR and short yen and dollar.
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